I am having the same problem.
iptables -L in dom0 gives the following:
x2100:~# iptables -L
iptables v1.2.11: can't initialize iptables table `filter': Table does not exist (do you need to insmod?)
Perhaps iptables or your kernel needs to be upgraded.
I have followed The Perfect Xen 3.0.3 Setup For Debian Sarge to the letter, except for the fact that I needed an initrd to get my dom0 kernel to boot. Could this have anything to do with the iptables not being included as a module?
uname -a gives:
x2100:~# uname -a
Linux x2100.ecobee.co.uk 18.104.22.168-xen0 #6 Mon Dec 11 23:37:19 GMT 2006 i686 GNU/Linux
Thanks in advance for any suggestions.